英文标题：
《Hedging under an expected loss constraint with small transaction costs》
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作者：
Bruno Bouchard (CEREMADE, CREST), Ludovic Moreau, Mete H. Soner
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最新提交年份：
2014
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英文摘要：
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A general expansion theory is developed using the dynamic programming approach. Explicit formulae are also obtained in the special cases of an exponential or power loss function. As a corollary, we retrieve the asymptotics for the exponential utility indifference price.
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中文摘要：
我们考虑了具有比例交易成本的市场中的期权套期保值问题。由于超级复制在这样的市场上非常昂贵，我们用预期损失约束取代了完美对冲。小交易的渐近分析用于获得一个可处理的模型。利用动态规划方法发展了一种通用的扩展理论。在指数或功率损失函数的特殊情况下，也得到了显式公式。作为推论，我们得到了指数效用无差异价格的渐近解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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